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I'm interested to know the exact magnitude of impact of Subprime Mortgages crisis on major players in investment banking.

In particular, how can I find data for percentage of revenue from Subprime Mortgages in total revenue for major banks, like Goldman Sachs, Morgen Stanley, The Bear Stearns and Lehman Brothers?

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Simply put, you can't tell exactly. It's just not possible to tell these entities' subprime losses apart from other losses, with the possible exception of Lehman Brothers, due to the detail made available through its bankruptcy proceedings. Even then, it would be an incredibly labor-intensive task.

There are a number of reasons for this. First, most subprime mortgage exposures of major banks weren't held as on-balance-sheet loans, but in the form of (usually higher-rated) tranches of private-label mortgage-backed securities, which has a number of implications, including: the exposures appeared on the balance sheet as securities, not as mortgage loans; there's no way to know what fraction of those securities contained subprime loans; and due to the structures of the securities, there's not even a linear relationship between the fraction of subprime loans in a given security and the bank's exposure to losses from those loans, among other things. Second, they often had off-balance-sheet exposures in the form of support obligations (whether explicit or implicit) on structured investment vehicles. Third, their exposures varied significantly due to differences in the amount of leverage they used in funding their assets.

As an aside: pre-crisis, none of the four entities you've named were actually banks. Though often referred to as "investment banks," all of those were nonbank broker-dealers.

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